Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0986
Annualized Std Dev 0.2808
Annualized Sharpe (Rf=0%) -0.3513

Row

Daily Return Statistics

Close
Observations 3561.0000
NAs 1.0000
Minimum -0.1626
Quartile 1 -0.0056
Median 0.0011
Arithmetic Mean -0.0003
Geometric Mean -0.0004
Quartile 3 0.0060
Maximum 0.3281
SE Mean 0.0003
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0003
Variance 0.0003
Stdev 0.0177
Skewness 1.1492
Kurtosis 50.7017

Downside Risk

Close
Semi Deviation 0.0127
Gain Deviation 0.0142
Loss Deviation 0.0158
Downside Deviation (MAR=210%) 0.0170
Downside Deviation (Rf=0%) 0.0128
Downside Deviation (0%) 0.0128
Maximum Drawdown 0.8810
Historical VaR (95%) -0.0224
Historical ES (95%) -0.0439
Modified VaR (95%) -0.0050
Modified ES (95%) -0.0050
From Trough To Depth Length To Trough Recovery
2007-04-19 2020-03-18 NA -0.8810 3506 3252 NA
2007-02-05 2007-03-05 2007-04-02 -0.0426 40 20 20
2007-04-10 2007-04-11 2007-04-12 -0.0061 3 2 1
2007-04-17 2007-04-17 2007-04-18 -0.0028 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 0.8 -1.1 0.3 0.6 1.2 0.5 -0.6 0.8 1 -1.7 2.1 2 5.9
2008 1 -1 1.9 0.9 -1.2 -1.2 -0.4 -1.1 1.3 2.5 -3.7 5.8 4.6
2009 -0.9 -1.6 3.8 2.1 2.3 1 0.5 -1.1 -2.3 -3.7 1.7 -0.9 0.7
2010 2.7 1.1 0.3 -1 -2.6 4 0 2 1.1 0.7 1.6 -0.3 9.9
2011 1.5 -1 0.3 0.3 -0.8 1.2 3 -1.7 -3.2 -2 0.7 0.5 -1.5
2012 1.5 0.4 0 0.9 -1.9 1 -0.2 1.2 0.7 1.2 0.2 0.5 5.5
2013 1 0 -0.7 -0.2 -1.7 0.5 1.2 0.5 0.5 0.2 0.7 0 2.1
2014 -1 0.8 0.5 0.5 0.6 1.1 -0.6 0.1 -0.6 1.3 -1 -2 -0.3
2015 -1.5 0.2 -0.3 0.7 0.4 0.7 0.1 -2.5 1.1 0.8 1.1 -0.5 0.2
2016 0.1 2.2 0.1 0 0.5 1 -0.3 -0.4 0.3 -0.8 -0.4 0.5 2.9
2017 0.3 1 -0.1 -0.9 0.7 0 -0.1 1.2 0.3 1 0 0.2 3.5
2018 0.2 -1 1.2 -0.4 0.9 0.2 -0.1 -0.1 0.5 1.4 0.1 0.3 3.2
2019 0.5 0.2 0.8 0.2 -1.3 0.1 -1 0 -0.8 1.1 -0.5 0.7 0.1
2020 -2 -4.3 -4.7 -2.2 0.8 0.3 -0.5 0.1 -0.6 -1.9 1.6 -0.6 -13.3
2021 1.1 2.3 0.5 NA NA NA NA NA NA NA NA NA 4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-01-26  41   SPY    142. -0.0007  -0.0046   0.01     0.031     0.122    0.227    0.252 GLD    64.1  6.00e-4   0.0175
2 2007-01-29  41.2 SPY    142. -0.0008  -0.0023   0.0033   0.0267    0.115    0.239    0.251 GLD    63.8 -5.10e-3   0.0167
3 2007-01-30  41.4 SPY    143.  0.0052  -0.0001   0.002    0.0289    0.111    0.260    0.254 GLD    64.2  7.10e-3  -0.0002
4 2007-01-31  41.5 SPY    144.  0.0067  -0.0014   0.0108   0.0423    0.119    0.267    0.304 GLD    64.8  9.50e-3   0.0078
5 2007-02-01  41.8 SPY    145.  0.006    0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  6.00e-3   0.0181
6 2007-02-02  41.8 SPY    145.  0.0014   0.0186   0.0243   0.0509    0.128    0.271    0.280 GLD    64.3 -1.44e-2   0.0028
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart